Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0513
Annualized Std Dev 0.2056
Annualized Sharpe (Rf=0%) 0.2495

Row

Daily Return Statistics

Close
Observations 3574.0000
NAs 1.0000
Minimum -0.0978
Quartile 1 -0.0057
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0069
Maximum 0.1262
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0129
Skewness -0.2381
Kurtosis 7.0575

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0088
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.5389
Historical VaR (95%) -0.0200
Historical ES (95%) -0.0311
Modified VaR (95%) -0.0200
Modified ES (95%) -0.0354
From Trough To Depth Length To Trough Recovery
2011-08-23 2015-12-17 NA -0.5389 2409 1088 NA
2008-03-17 2008-11-12 2009-11-09 -0.3609 418 169 249
2009-12-03 2010-02-08 2010-05-11 -0.1481 109 45 64
2011-05-02 2011-05-05 2011-08-03 -0.1219 66 4 62
2011-01-03 2011-01-27 2011-02-23 -0.0924 36 18 18

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 0.7 -1.5 0.3 -1 1.8 -0.2 -0.3 1.3 0.4 -0.6 -1.6 -0.5 -1.2
2008 -2.2 0.3 -4.2 -3.2 1.4 1.8 -0.7 -0.4 1.9 -1.8 -7.4 0.9 -13.3
2009 2.9 -0.3 0.7 -0.1 -0.5 1.4 2.2 0.6 -1.1 -0.4 1.9 0.3 7.8
2010 2.2 -0.1 1.5 0.9 0.7 -4 1.2 -0.2 0.9 -0.5 0.2 1.1 4
2011 0.9 1.8 -0.2 1.1 -1.1 -1.2 -0.7 0 -0.6 -0.6 -0.4 0.9 0
2012 0.6 1.7 0.5 -0.2 3.5 3 -1.2 2.6 0.4 -0.4 -1.1 1 10.6
2013 0.4 -0.2 -0.1 -1.4 -2 1.4 -1 -1.1 -2.8 -0.8 1.2 0.3 -5.9
2014 0 -0.6 -0.2 -0.6 -0.6 -0.2 0.5 -0.2 0.5 -2.3 4.9 -1.7 -0.6
2015 2.2 0.2 1.8 -0.5 0 -0.4 0.4 0.3 -0.1 -0.4 0.4 0 3.9
2016 1.2 -0.6 -1.1 1.9 0.1 2.3 0 0.4 -0.1 1.1 -0.2 -0.9 4
2017 -0.2 0 0.2 -1.2 -0.1 -0.3 0 0.4 -0.6 0.8 0.3 0.6 -0.1
2018 0 -0.1 0.1 -0.8 -0.3 0.6 -0.8 0 -0.4 1.8 -0.4 0.4 0
2019 -0.4 -2 -0.3 -0.9 1.2 -1.6 2 -0.2 0.7 0.1 0.5 0.1 -1
2020 0.6 -4.4 0.7 0.3 1.4 -0.5 1.6 -0.1 1.6 0.7 2.6 0.1 4.6
2021 2.4 -0.3 0.6 NA NA NA NA NA NA NA NA NA 2.7

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart